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Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain

Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32

countries - Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH … models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …

Persistent link: https://www.econbiz.de/10012800500

Incorporating correlation regimes in an integrated stressed risk modeling process

Aragonés, José R.; Blanco, Carlos - In: Journal of economics and finance 32 (2008) 2, pp. 148-157

Persistent link: https://www.econbiz.de/10003710731

Volatility relationship between stock performance and real output

Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784

Persistent link: https://www.econbiz.de/10003350994

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

Are international stock returns predictable? : An examination of linear and non-linear pridictability using generalized spectral tests

McPherson, Matthew Q.; Palardy, Joseph - In: Journal of international financial markets, … 17 (2007) 5, pp. 452-464

Persistent link: https://www.econbiz.de/10003609496

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...

Persistent link: https://www.econbiz.de/10011431447

Are international stock returns predictable? : An application of spectral shape tests corrected for heteroskedasticity

McPherson, Matthew Q.; Palardy, Joseph; Vilasuso, Jon R. - In: Journal of economics & business 57 (2005) 2, pp. 103-118

Persistent link: https://www.econbiz.de/10002767692

Does the euro affect the dynamic interactions of stock markets in Europe? : Evidence from France, Germany and Italy

Westermann, Frank - In: The European journal of finance 10 (2004) 2, pp. 139-148

Persistent link: https://www.econbiz.de/10001982899

The Mib30 index and futures relationship : econometric analysis and implications for hedging

Pattarin, Francesco; Ferretti, Riccardo - In: Applied financial economics 14 (2004) 18, pp. 1281-1289

Persistent link: https://www.econbiz.de/10002438188

Interactions between business cycles, stock market cycles and interest rates : the stylised facts

Avouyi-Dovi, Sanvi; Matheron, Julien - In: Financial stability review : FSR (2003) 3, pp. 80-99

Persistent link: https://www.econbiz.de/10001897304

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